10.

00
8.00
6.00
4.00
2.00
0.00

1/1/2000 1/1/2005 1/1/2010 1/1/2015 1/1/2020 1/1/2025

Monthly

AAA BAA
FEDFUNDS TBILLS
8.00
6.00
AAA
4.00
2.00

1/1/2000 1/1/2005 1/1/2010 1/1/2015 1/1/2020 1/1/2025

Monthly
 10.00
8.00
BAA
6.00 4.00
2.00

1/1/2000 1/1/2005 1/1/2010 1/1/2015 1/1/2020 1/1/2025

Monthly
6.00
4.00
TBILLS
2.00
0.00

1/1/2000 1/1/2005 1/1/2010 1/1/2015 1/1/2020 1/1/2025

Monthly
 8.00
6.00
FEDFUNDS
4.00
2.00
0.00

1/1/2000 1/1/2005 1/1/2010 1/1/2015 1/1/2020 1/1/2025

Monthly
20
10
0
-10
-20

1920m1 1940m1 1960m1 1980m1 2000m1 2020m1

month_year

lindpro cyclical component from hp filter SPt

 5
0
-5
-10
-15

2018m1 2019m1 2020m1 2021m1

month_year

SPt y_2

. summarize

Variable Obs Mean Std. Dev. Min Max

Monthly 270 18886.16 2376.746 14792 22980

AAA 270 4.68737 1.255997 2.14 7.65
TBILLS 270 1.432037 1.644703 .01 6.17
BAA 270 5.724481 1.373489 3.16 9.21
FFR 270 1.548222 1.770616 .05 6.54

month_year 270 620.5 78.08649 486 755

. correl AAA TBILLS BAA FFR

(obs=270)

AAA TBILLS BAA FFR

AAA 1.0000
TBILLS 0.5692 1.0000
BAA 0.9551 0.4613 1.0000
FFR 0.5905 0.9909 0.4848 1.0000
. regress y_h y_1 y_2 y_3

Source SS df MS Number of obs = 1245

F( 3, 1241) = 1709.75
Model 11219.0535 3 3739.6845 Prob > F = 0.0000
Residual 2714.40522 1241 2.18727254 R-squared = 0.8052
Adj R-squared = 0.8047
Total 13933.4587 1244 11.2005295 Root MSE = 1.4789

y_h Coef. Std. Err. t P>|t| [95% Conf. Interval]

y_1 1.261138 .0283754 44.44 0.000 1.205469 1.316807

y_2 -.4543541 .0437913 -10.38 0.000 -.5402672 -.3684409
y_3 .0002237 .0282685 0.01 0.994 -.0552356 .0556829
_cons .0045668 .0419149 0.11 0.913 -.0776651 .0867987

. regress SPt y_h D2007 FFR Inflation

Source SS df MS Number of obs = 270

F( 4, 265) = 114.34
Model 28.7634293 4 7.19085733 Prob > F = 0.0000
Residual 16.6661168 265 .062891007 R-squared = 0.6331
Adj R-squared = 0.6276
Total 45.4295461 269 .168883071 Root MSE = .25078

SPt Coef. Std. Err. t P>|t| [95% Conf. Interval]

y_h -.0645566 .009456 -6.83 0.000 -.0831751 -.0459381

D2007 1.063878 .0599343 17.75 0.000 .9458703 1.181886
FFR -.0292931 .0087343 -3.35 0.001 -.0464906 -.0120957
Inflation -.286913 .0495626 -5.79 0.000 -.3844995 -.1893264
_cons 1.06606 .0229747 46.40 0.000 1.020824 1.111296